In this present study, the effects of electric and magnetic fields on the nonlinear optical rectification and second-harmonic generation in a graded quantum well under intense laser field have been investigated theoretically. The energy eigenvalues and their corresponding eigenfunctions are obtained by solving Schrodinger equation within the framework of effective mass approximation. The analytic expressions for the optical properties are calculated by the compact-density-matrix approach and iterative method. The numerical results are presented for a typical GaAs/Ga1-xAlxAs quantum well. The results show that the nonlinear optical rectification and second-harmonic generation coefficients are considerably affected by the electromagnetic fields and intense laser field.